ETF5330 Quantitative methods for financial markets
Faculty of Business and Economics
ETF5330 Quantitative methods for financial markets is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2022 in Semester 2 at Caulfield. It needs ETC2410, ETW2510, ETC3440, ETF2100 or ETF5910 and unlocks 2 units, leading on to 4 units in all.
- Credit points
- 6
- Offered in 2022
- Semester 2
- Caulfield
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2022 handbook entry. See the 2027 entry.
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Requisites
Before ETF5330
Prerequisites
Pass these before you enrol.
Prohibitions
You can't enrol if you have passed any of these.
After ETF5330
2 units list ETF5330 as a prerequisite or corequisite.
Equivalent units
The same content under another code. Only one of them counts.
Overview
This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility; and parametric and nonparametric methods to estimate the value at risk and expected shortfall. Statistical software will be used to carry out financial data analysis and applied research projects.
Offerings in 2022
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Caulfield | On campus |
Assessment
- Within semester assessment40%
- ExaminationThreshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
assess the time series and distributional properties of financial data
- 2
evaluate the risk-return relationship among financial assets
- 3
estimate the long run relationship among financial time series and test market hypotheses arising in finance
- 4
analyse and model the volatility of financial returns and estimated value at risk and relate measures
- 5
demonstrate the ability to generate and analyse computer output
- 6
critically analyse the application of principles underlying quantitative methods in finance.
Workload and teaching
- Lectures24 hours
- Tutorials18 hours
- Teaching approachActive learning
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
Contacts
- Chief Examiners
- Dr Wei Wei
Common questions
What are the prerequisites for ETF5330?
You need ETC2410, ETW2510, ETC3440, ETF2100 or ETF5910 before you enrol.
What can I take after ETF5330?
ETF5330 is a prerequisite or corequisite for 2 units, including ETC5460 and ETF5231. Those lead on to 4 units in all.
When is ETF5330 offered?
In 2022, ETF5330 runs in Semester 2 at Caulfield.
How much work is ETF5330?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETF5330 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.